To lock your Internet Explorer home page, double-click the LockIEHomePage.reg file and “Accept" to write to the Registry. If Vista opens the file in Notepad, close Notepad, right-click the .reg file, and select Open With . . . Registry Editor. Then select "Continue" if User Access Control (UAC) is enabled.
Finally, Vista will warn you that "Adding information can unintentionally change or delete values and cause components to stop working correctly. If you do not trust the source of this information in UnlockIEHomePage.reg, do not add it to the registry. Are you sure you want to continue?"
Select "Yes," and the next dialog will say, "The keys and values contained in UnlockIEHomePage.reg have been sucessfully added to the registry.
In the image below, we've selected Tools, Options. The home page was previously set to www.brighthub.com and is now grayed out, indicating that it can't be changed. (Click the image to enlarge it.)